Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 18 (1D) Dec 19 (2D) Dec 22 (5D) Dec 23 (6D) Dec 24 (7D) Dec 25 (8D) Dec 26 (9D) Dec 29 (12D) Dec 30 (13D) Dec 31 (14D) Jan 02 (16D) Jan 09 (23D) Jan 16 (30D) Jan 23 (37D) Jan 30 (44D) Feb 06 (51D) Feb 13 (58D) Feb 20 (65D) Feb 27 (72D) Mar 06 (79D) Mar 13 (86D) Mar 20 (93D) Mar 27 (100D)
lower 665.187 662.613 657.507 656.181 654.961 653.826 652.76 649.877 648.998 648.152 646.547 641.602 637.369 633.606 630.186 627.029 624.081 621.307 618.679 616.176 613.781 611.482 609.268
upper 677.613 680.187 685.293 686.619 687.839 688.974 690.04 692.923 693.802 694.648 696.253 701.198 705.431 709.194 712.614 715.771 718.719 721.493 724.121 726.624 729.019 731.318 733.532
expected move 6.213 8.787 13.893 15.219 16.439 17.574 18.64 21.523 22.402 23.248 24.853 29.798 34.031 37.794 41.214 44.371 47.319 50.093 52.721 55.224 57.619 59.918 62.132
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
LinkedIn Connect with me on LinkedIn